Exchange Rate Impact on Russia’s Exports: Some Evidence from an Evolutionary Co-spectral Analysis

Jamal Bouoiyour () and Refk Selmi

MPRA Paper from University Library of Munich, Germany

Abstract: The core focus of this paper is to analyze the dynamic interactions between changes in exchange rate (nominal and real terms) and exports to GDP ratio in Russia. To this end, we apply a new approach based on a time varying dynamic coherence function, called, evolutionary co-spectral analysis. Our results put in evidence that coherence pattern differs over time, suggesting that nonlinearities are an important issue when assessing the focal relationship. These observed outcomes change substantially in terms of magnitude when subtracting energy, while differential price stills the major player. We can attribute these findings to the limited effectiveness of exchange rate policy and the inefficiency of sterilization coupled with a lack of competitiveness of banking sector.

Keywords: Exchange rate; exports; time varying dynamic coherence function; Russia. (search for similar items in EconPapers)
JEL-codes: C6 F14 (search for similar items in EconPapers)
Date: 2014-09
New Economics Papers: this item is included in nep-cis and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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